Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 9 | 8 | 8 |
| Score | 4.64 | 3.72 | 4.29 |
| Market Cap (Millions USD) | NA | NA | NA |
| Predicted Beta | 3.14 | 3.11 | 3.03 |
| Idiosyncratic Volatility | 1.52 | 1.88 | 1.95 |
Annualized return and volatility
| VFIAX | |
|---|---|
| Annualized Return | 0.0658 |
| Annualized Std Dev | 0.1857 |
| Annualized Sharpe (Rf=0%) | 0.3542 |
Row
Daily Return Statistics
| VFIAX | |
|---|---|
| Observations | 4890.0000 |
| NAs | 224.0000 |
| Minimum | -0.0901 |
| Quartile 1 | -0.0042 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0056 |
| Maximum | 0.1157 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0117 |
| Skewness | -0.0387 |
| Kurtosis | 9.5493 |
Downside Risk
| VFIAX | |
|---|---|
| Semi Deviation | 0.0084 |
| Gain Deviation | 0.0085 |
| Loss Deviation | 0.0093 |
| Downside Deviation (MAR=210%) | 0.0131 |
| Downside Deviation (Rf=0%) | 0.0083 |
| Downside Deviation (0%) | 0.0083 |
| Maximum Drawdown | 0.5520 |
| Historical VaR (95%) | -0.0181 |
| Historical ES (95%) | -0.0283 |
| Modified VaR (95%) | -0.0168 |
| Modified ES (95%) | -0.0234 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2012-04-02 | -0.5520 | 1148 | 364 | 784 |
| 2000-11-16 | 2002-10-09 | 2006-01-06 | -0.4338 | 1313 | 481 | 832 |
| 2018-09-21 | 2018-12-24 | 2019-04-12 | -0.1938 | 142 | 66 | 76 |
| 2015-07-21 | 2016-02-11 | 2016-04-18 | -0.1299 | 191 | 146 | 45 |
| 2018-01-29 | 2018-02-08 | 2018-08-06 | -0.1010 | 134 | 9 | 125 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | VFIAX | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.0 | 0 | 0.0 |
| 2001 | 0.6 | 0.1 | 0.0 | 1.4 | 0.4 | 0.0 | 0.4 | 0.0 | -0.2 | 2.3 | 0.0 | 0 | 5.0 |
| 2002 | -0.7 | 2.3 | -0.1 | 0.9 | 0.0 | -2.1 | -2.9 | 0.0 | 4.0 | 1.7 | 0.0 | 0 | 2.9 |
| 2003 | 0.0 | 0.0 | 1.3 | -0.1 | 0.0 | 0.8 | -1.0 | 0.0 | 2.2 | 0.0 | 1.1 | 0 | 4.4 |
| 2004 | 0.0 | 1.0 | 0.5 | 0.0 | 0.0 | -1.0 | 0.0 | 0.2 | 1.5 | 0.0 | 1.5 | 0 | 3.8 |
| 2005 | 0.7 | 0.6 | -0.7 | 0.0 | 0.9 | 0.3 | 0.1 | 0.1 | 0.0 | -0.4 | 1.2 | 0 | 2.9 |
| 2006 | 0.2 | 0.8 | 0.0 | -0.4 | 1.2 | 0.0 | -0.5 | 0.6 | 0.0 | -0.7 | -0.3 | 0 | 1.0 |
| 2007 | 0.6 | -0.3 | 0.0 | 0.3 | 0.4 | 0.0 | 0.7 | 0.0 | 1.3 | -2.6 | 0.0 | 0 | 0.3 |
| 2008 | 1.2 | 0.0 | 3.6 | 1.7 | 0.0 | 0.4 | -0.6 | 0.0 | -0.4 | 0.0 | -8.9 | 0 | -3.4 |
| 2009 | 0.0 | 0.0 | 1.7 | 0.5 | 2.6 | 0.4 | 0.0 | -2.2 | -2.6 | 0.0 | 1.2 | 0 | 1.5 |
| 2010 | 1.4 | 1.0 | 0.8 | 0.0 | -1.7 | -0.3 | 0.0 | 3.0 | 0.4 | 0.1 | 2.2 | 0 | 7.0 |
| 2011 | 1.7 | -1.6 | 0.5 | 0.0 | -2.3 | 1.4 | -0.4 | -1.2 | 0.0 | -2.8 | -0.2 | 0 | -4.8 |
| 2012 | 0.9 | 0.6 | 0.0 | 0.6 | -2.5 | 0.0 | -0.3 | 0.0 | 0.3 | 1.1 | 0.0 | 0 | 0.7 |
| 2013 | 1.0 | 0.2 | -0.4 | -0.9 | 0.0 | 0.6 | 1.3 | 0.0 | 0.8 | 0.3 | 0.0 | 0 | 2.8 |
| 2014 | 0.0 | 0.0 | 0.7 | 0.0 | 0.0 | 0.7 | -0.3 | 0.0 | -1.3 | 0.0 | -0.7 | 0 | -0.9 |
| 2015 | 0.0 | 0.0 | -0.4 | 1.1 | 0.2 | 0.7 | 0.0 | -3.0 | 0.2 | 0.0 | 1.1 | 0 | -0.1 |
| 2016 | 0.0 | 2.4 | 0.6 | 0.0 | 0.1 | 0.2 | -0.1 | 0.0 | 0.0 | -0.7 | -0.3 | 0 | 2.2 |
| 2017 | 0.1 | 1.4 | 0.0 | 0.2 | 0.8 | 0.0 | 0.2 | 0.2 | 0.0 | 0.2 | -0.2 | 0 | 2.8 |
| 2018 | 0.0 | -1.3 | 0.0 | 0.3 | 1.1 | 0.0 | -0.1 | 0.0 | 0.4 | 1.1 | 0.0 | 0 | 1.3 |
| 2019 | 0.1 | 0.7 | 1.2 | -0.7 | 0.0 | 0.8 | -0.9 | 0.0 | -1.2 | 1.0 | 0.0 | 0 | 0.8 |
Row
Rolling Performance Chart
Snail Trail Chart
